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Decomposing the effects of monetary policy using an external instruments SVAR...
We study the effects of monetary policy on economic activity separately identifying the effects of a conventional change in the fed funds rate from the policy of forward... -
Hidden group patterns in democracy developments: Bayesian inference for group...
We propose a nonparametric Bayesian approach to estimate time-varying grouped patterns of heterogeneity in linear panel data models. Unlike the classical approach in Bonhomme... -
Estimation in a generalization of bivariate probit models with dummy endogeno...
The purpose of this paper is to provide guidelines for empirical researchers who use a class of bivariate threshold crossing models with dummy endogenous variables. A common... -
Two applications of wild bootstrap methods to improve inference in cluster‐IV...
Microeconomic data often have within-cluster dependence, which affects standard error estimation and inference. When the number of clusters is small, asymptotic tests can be... -
Tax shocks with high and low uncertainty (replication data)
We assess whether the effects of fiscal policy depend on the extent of uncertainty in the economy. Focusing on tax shocks, identified by the narrative series by Romer and Romer... -
Exogenous uncertainty and the identification of structural vector autoregress...
We provide necessary and sufficient conditions for the identification (point-identification) of structural vector autoregressions (SVARs) with external instruments considering... -
Mostly harmless simulations? Using Monte Carlo studies for estimator selectio...
We consider two recent suggestions for how to perform an empirically motivated Monte Carlo study to help select a treatment effect estimator under unconfoundedness. We show... -
Homogeneity pursuit in panel data models: Theory and application (replication...
This paper studies the estimation of a panel data model with latent structures where individuals can be classified into different groups with the slope parameters being... -
Indirect inference with time series observed with error (replication data)
We propose the indirect inference estimator as a consistent method to estimate the parameters of a structural model when the observed series are contaminated by measurement... -
Testing the rationality of expectations of qualitative outcomes (replication ...
This article provides an adequate statistic for testing the rationality of point predictions of categorical outcomes under a subjective median or mode assumption. The test... -
National natural rates of interest and the single monetary policy in the euro...
We estimate time-varying national natural real rates of interest (r?) for the four largest economies of the euro area over 1999-2016. We further derive the associated national... -
Half-panel jackknife fixed-effects estimation of linear panels with weakly ex...
This paper considers estimation and inference in linear panel regression models with lagged dependent variables and/or other weakly exogenous regressors when N (the... -
Fat tails and spurious estimation of consumption-based asset pricing models (...
The standard generalized method of moments (GMM) estimation of Euler equations in heterogeneous-agent consumption-based asset pricing models is inconsistent under fat tails... -
Efficient estimation of factor models with time and cross-sectional dependenc...
This paper studies the efficient estimation of large-dimensional factor models with both time and cross-sectional dependence assuming (N,T) separability of the covariance... -
Structural FECM: Cointegration in large‐scale structural FAVAR models (replic...
Starting from the dynamic factor model for nonstationary data we derive the factor-augmented error correction model (FECM) and its moving-average representation. The latter is... -
Anchoring the yield curve using survey expectations (replication data)
The dynamic behavior of the term structure of interest rates is difficult to replicate with models, and even models with a proven track record of empirical performance have... -
Modelling Hospital Admission and Length of Stay by Means of Generalised Count...
For a large heterogeneous group of patients, we analyse probabilities of hospital admission and distributional properties of lengths of hospital stay conditional on individual... -
Forecasting with Bayesian Vector Autoregressions Estimated Using Professional...
We propose a Bayesian shrinkage approach for vector autoregressions (VARs) that uses short-term survey forecasts as an additional source of information about model parameters.... -
Reassessing the Relative Power of the Yield Spread in Forecasting Recessions ...
In this paper, we replicate the main results of previous research showing that the use of the yield spread in a probit model can predict recessions better than the Survey of... -
Exponent of Cross-Sectional Dependence: Estimation and Inference (replication...
This paper provides a characterisation of the degree of cross-sectional dependence in a two dimensional array, {xit,i = 1,2,...N;t = 1,2,...,T} in terms of the rate at which the...
